The menu for Multi-Edit for custom picklists doesn't use the same order as in the drop downs you get when editing. This also applies for dependent picklists which are dependant on another picklist.

There may be other cases when this order is not used (e.g. when sorting - but this probably happens because a custom picklist is a "text" field in the SQL database) - it would be good if all possible cases could use the order specified under manage picklists.